In my opinion, it only depends about in where are you located at the moment, and where is the casino (online) located. If it doesn't have the proper license, you can easily bring back some lawyers and they will close the casino soon because it doesn't meat the regulations
you are right especially if we play gambling in the country that gambling is not allowed and we can break the law and get to the jail. but I don't think that bitcoin gambling exists in the real life because so far, I only find bitcoin gambling place is on the internet and if we want to play gambling in that site, I think we can use proxy or software to hide our IP so we cannot be traced.